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Interest Rate Volatility Regimes and Exchange Rate Behavior in a Target Zone

Gallo, Giampiero M. - Department of Economics, University of California-San … - 1999

The fluctuation of a bilateral exchange rate in a target zone is often chosen as part of official agreements between two or more countries (such as in the European Monetary System - EMS) or of informal unilateral monetary policy packages a country adopts for itself. The defendability of such a...

Persistent link: https://www.econbiz.de/10010536445

A multiple indicators model for volatility using intra-daily data

Engle, Robert F.; Gallo, Giampiero M. - In: Journal of econometrics 131 (2006) 1, pp. 3-28

Persistent link: https://www.econbiz.de/10006747800

Market interdependence and financial volatility transmission in East Asia

Gallo, Giampiero M.; Velucchi, Margherita - In: International journal of finance & economics : IJFE 14 (2009) 1, pp. 24-44

Persistent link: https://www.econbiz.de/10008163080

Shrinkage estimation of semiparametric multiplicative error models

Brownlees, Christian T.; Gallo, Giampiero M. - In: International journal of forecasting 27 (2011) 2, pp. 365-379

Persistent link: https://www.econbiz.de/10008782047

Volatility transmission across markets: a Multichain Markov Switching model

Gallo, Giampiero M.; Otranto, Edoardo - In: Applied financial economics 17 (2007) 7-9, pp. 659-670

Persistent link: https://www.econbiz.de/10007751341

Volatility transmission across markets: a Multichain Markov Switching model

Gallo, Giampiero M.; Otranto, Edoardo - In: Applied financial economics 17 (2007) 8, pp. 659-670

Persistent link: https://www.econbiz.de/10007733598

Early news is good news : the effects of market opening on market volatility

Gallo, Giampiero M.; Pacini, Barbara - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 2 (1997) 4

Persistent link: https://www.econbiz.de/10009949720

Mixture processes for financial intradaily durations

DeLuca, Giovanni; Gallo, Giampiero M. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 8 (2004) 2

Persistent link: https://www.econbiz.de/10009949812

A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)

Perez-Amaral, Teodosio; Gallo, Giampiero M.; White, Halbert - In: Oxford bulletin of economics and statistics 65 (2003), pp. 821-838

Persistent link: https://www.econbiz.de/10006431522

Modelling the Impact of Overnight Surprises on Intra-daily Volatility

Gallo, Giampiero M. - In: Australian economic papers 40 (2001) 4, pp. 567-580

Persistent link: https://www.econbiz.de/10006444255